Concepedia

Semimartingales

Semimartingales is a stochastic process that generalizes both martingales and processes of finite variation, characterized as the largest class of integrators for which a consistent stochastic integration theory can be developed within the framework of continuous-time stochastic calculus.

740

Publications

48.6K

Citations

802

Authors

454

Institutions

Publications per year

2017–2026

60

Variants

Semimartingale

Parents

Publications

740

Markov Processes: Characterization and Convergence.

Andris Abakuks, S. N. Ethier, Thomas G. Kurtz · Biometrics · 1987 · 4.5K citations

, , +16

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

, , +16

Differential equations driven by rough signals

Terry Lyons · Revista Matemática Iberoamericana · 1998 · 1.1K citations · Full text

, , +14

Affine processes and applications in finance

Darrell Duffie, Damir Filipović, Walter Schachermayer · The Annals of Applied Probability · 2003 · 1.1K citations · Full text

, , +17

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Dmitry Kramkov, Walter Schachermayer · The Annals of Applied Probability · 1999 · 986 citations · Full text

, , +15

1–5 of 740

Authors

802

  1. MS
    Martin Schweizer

    ETH Zurich, Switzerland

    15 publications · 1.6K citations

    12

    h-index

  2. JJ
    Jean Jacod

    Sorbonne Université, France

    14 publications · 1.8K citations

    12

    h-index

  3. PP
    Philip Protter

    Cornell University, United States

    12 publications · 1K citations

    11

    h-index

  4. FR
    Francesco Russo

    École Nationale Supérieure de Techniques Avancées, France

    14 publications · 506 citations

    11

    h-index

  5. NT
    Nizar Touzi

    École Polytechnique, France

    11 publications · 608 citations

    11

    h-index

1–5 of 802

Institutions

454

  1. Columbia University

    New York, United States

    19 h-index

    27 publications

    2K citations

  2. Centre National de la Recherche Scientifique

    Paris, France

    17 h-index

    26 publications

    1.3K citations

  3. ETH Zurich

    Zurich, Switzerland

    16 h-index

    28 publications

    1.3K citations

  4. Sorbonne Université

    Paris, France

    16 h-index

    20 publications

    1.8K citations

  5. Laboratoire de Probabilités et Modèles Aléatoires

    Paris, France

    15 h-index

    22 publications

    9.3K citations

  6. Aarhus University

    Aarhus, Denmark

    15 h-index

    20 publications

    1.4K citations

  7. Université Paris Cité

    Paris, France

    14 h-index

    26 publications

    727 citations

  8. École Polytechnique

    Palaiseau, France

    13 h-index

    20 publications

    1.1K citations

1–8 of 454

Venues

  1. The Annals of Probability

    60 publications · 4.4K citations

    34

    h-index

  2. Stochastic Processes and their Applications

    59 publications · 3.5K citations

    29

    h-index

  3. The Annals of Applied Probability

    37 publications · 3.3K citations

    24

    h-index

  4. Probability Theory and Related Fields

    28 publications · 1.8K citations

    17

    h-index

  5. Finance and Stochastics

    18 publications · 1.7K citations

    17

    h-index

1–5